JGB market liquidity indicators updated for February
The Bank of Japan has released its monthly report on liquidity indicators in the Japanese Government Bond (JGB) markets, covering data up to the end of February 2026. The publication provides an overview of conditions in the JGB futures, cash, and repo markets.
JGB futures and cash markets in focus
The Bank of Japan's latest report provides a comprehensive overview of liquidity conditions across key segments of the Japanese Government Bond markets.
It details indicators for the JGB futures market, the JGB cash market, and the SC repo market.
For the JGB futures market, the report presents data on transaction volumes and bid-ask spreads, alongside metrics for market depth and resiliency.
In the JGB cash market, the focus is on both dealer-to-client and inter-dealer transaction volumes, as well as their respective bid-ask spreads and market depth.
These indicators offer insights into the efficiency and functioning of the JGB trading environment, reflecting activity up to the end of February 2026.
The data helps assess the ease with which JGBs can be bought and sold without significantly impacting their price, a crucial aspect for financial stability and monetary policy transmission.
Underlying data and definitions
The liquidity indicators presented in this report are derived from a range of detailed transaction data sources.
Key data providers include QUICK, Osaka Exchange, Inc., Nikkei Inc., and the Japan Securities Dealers Association for the JGB futures and dealer-to-client cash markets.
Inter-dealer transactions in the JGB cash market rely on data from Japan Bond Trading.
Bid-ask spreads for dealer-to-client transactions are sourced via LSEG.
The definitions for each indicator are consistent with established research, referencing the Bank of Japan Working Paper Series No.15-E-2 (May 2015) and Bank of Japan Research Papers (March 2018).
These foundational papers provide the methodological framework for evaluating JGB market liquidity, ensuring consistency and comparability across reporting periods.